External Seminar: Michael Falk (University of Wuerzburg)

Location
Physics B21
Date(s)
Thursday 26th July 2018 (14:00-15:00)
Contact
Gilles Stupfler
Description

[Statistics & Probability Seminar]

Generalized Pareto copulas: a key to multivariate extremes

This talk reviews generalized Pareto copulas (GPC), which turn out to be a key to multivariate extreme value theory. Any GPC can be represented in an easy analytic way using a particular type of norm on Rd, called D-norm. The characteristic property of a GPC is its exceedance stability.

GPC might help to end the debate: What is a multivariate generalized Pareto distribution? We present an easy way how to simulate data from an arbitrary GPC and, thus, from an arbitrary generalized Pareto distribution.

[Support from the LMS Research in Pairs Scheme (Scheme 4) is gratefully acknowledged.]

School of Mathematical Sciences

The University of Nottingham
University Park
Nottingham, NG7 2RD

For all enquiries please visit:
www.nottingham.ac.uk/enquire